Hiroshi Yamada

Last Updated :2025/01/07

Affiliations, Positions
Graduate School of Humanities and Social Sciences, Professor
E-mail
yamadahiroshima-u.ac.jp

Basic Information

Academic Degrees

  • Ph.D. in Economics, University of Tsukuba
  • M.A., University of Tsukuba
  • B.A., Hiroshima University

Research Fields

  • Social sciences;Economics;Economic statistics
  • Social sciences;Economics;Economic policy

Research Keywords

  • ECONOMIC TIME SERIES
  • SPATIAL STATISTICS

Educational Activity

Course in Charge

  1. 2024, Liberal Arts Education Program1, 4Term, Fundamental Data Science
  2. 2024, Undergraduate Education, 2Term, Econometrics
  3. 2024, Undergraduate Education, 3Term, Time Series Analysis
  4. 2024, Undergraduate Education, 4Term, Informatics and Data Science Exercise IV(Data Science Program)
  5. 2024, Undergraduate Education, 1Term, Data Science Seminar I
  6. 2024, Undergraduate Education, 2Term, Data Science Seminar II
  7. 2024, Undergraduate Education, Second Semester, Graduation Thesis
  8. 2024, Graduate Education (Master's Program) , 1Term, Econometrics 1
  9. 2024, Graduate Education (Doctoral Program) , Academic Year, Special Topics
  10. 2024, Graduate Education (Master's Program) , 1Term, Special Exercises on Informatics and Data Science A
  11. 2024, Graduate Education (Master's Program) , 2Term, Special Exercises on Informatics and Data Science A
  12. 2024, Graduate Education (Master's Program) , 3Term, Special Exercises on Informatics and Data Science B
  13. 2024, Graduate Education (Master's Program) , 4Term, Special Exercises on Informatics and Data Science B
  14. 2024, Graduate Education (Master's Program) , Academic Year, Special Study on Informatics and Data Science

Research Activities

Academic Papers

  1. ★, Boosted Whittaker-Henderson Graduation, Mathematics, 12(21), 3377, 20241029
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  2. Moran's I for Multivariate Spatial Data, Mathematics, 12(17), 2746, 20240904
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  3. Geary's c for Multivariate Spatial Data, Mathematics, 12(12), 1820, 20240612
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  4. Boosted HP Filter: Several Properties Derived from Its Spectral Representation, Computational Science and Its Applications – ICCSA 2024: 24th International Conference, Hanoi, Vietnam, July 1–4, 2024, Proceedings, Part II, 20240702
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  5. Boosted Whittaker-Henderson Graduation of Order 1: A Graph Spectral Filter Using Discrete Cosine Transform, Contemporary Mathematics, 2024
  6. ★, Spatial Smoothing Using Graph Laplacian Penalized Filter, Spatial Statistics, 20240117
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  7. A New Perspective on Moran's Coefficient: Revisited, Mathematics, 12(2), 253, 20240112
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  8. Geary's c and Spectral Graph Theory: A Complement, Mathematics, 11(20), 4228, 20231010
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  9. HPX Filter: A Hybrid of Hodrick-Prescott Filter and Multiple Regression, Studies in Nonlinear Dynamics and Econometrics, 20230626
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  10. A Unified Perspective on Some Autocorrelation Measures in Different Fields: A Note, Open Mathematics, 21(1), 20220542, 20230401
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  11. l_{1} Common Trend Filtering: An Extension, Journal of Statistical Computation and Simulation, 93(4), 493-512, 20221123
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  12. Quantile Regression Version of Hodrick-Prescott Filter, Empirical Economics, 64, 1631-1645, 20220822
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  13. ★, Geary's c and Spectral Graph Theory, Mathematics, 9(19), Article 2465, 20211003
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  14. ★, Trend Extraction from Economic Time Series with Missing Observations by Generalized Hodrick-Prescott Filters, Econometric Theory, 38(3), 419-453, 20210611
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  15. ★, l_{1} Common Trend Filtering, Computational Economics, 59, 1005-1025, 20210411
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  16. A Pioneering Study on Discrete Cosine Transform, Communications in Statistics – Theory and Methods, 51(15), 5364-5368, 20201027
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  17. Principle of Duality in Cubic Smoothing Spline, Mathematics, 8(10), Article 1839, 20201019
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  18. ★, A Smoothing Method That Looks Like the Hodrick-Prescott Filter, Econometric Theory, 36(5), 961-981, 20200323
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  19. A Note on Whittaker-Henderson Graduation: Bisymmetry of the Smoother Matrix, Communications in Statistics – Theory and Methods, 20190123
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  20. An Explicit Formula for the Smoother Weights of the Hodrick-Prescott Filter, Studies in Nonlinear Dynamics and Econometrics, 23(5), 1-10, 20190123
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  21. Explicit Formulas for the Smoother Weights of the Whittaker-Henderson Graduation of Order 1, Communications in Statistics – Theory and Methods, 48(12), 3153-3161, 20181117
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  22. A Modification of the Whittaker-Henderson Method of Graduation, Communications in Statistics – Theory and Methods, 48(15), 3795-3800, 20181030
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  23. Some Results on l_{1} Polynomial Trend Filtering, Econometrics, 6(3), Article 33, 20180710
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  24. A New Method for Specifying the Tuning Parameter of l_{1} Trend Filtering, Studies in Nonlinear Dynamics and Econometrics, 22(4), 1-8, 20180501
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  25. Several Least Squares Problems Related to the Hodrick-Prescott Filtering, Communications in Statistics – Theory and Methods, 47(5), 1022-1027, 20180104
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  26. A Trend Filtering Method Closely Related to l_{1} Trend Filtering, Empirical Economics, 55(4), 1413-1423, 2018
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  27. Why Does the Trend Extracted by the Hodrick-Prescott Filtering Seem to be More Plausible Than the Linear Trend?, Applied Economics Letters, 25(2), 102-105, 20170317
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  28. The Frisch–Waugh–Lovell theorem for the lasso and the ridge regression, Communications in Statistics - Theory and Methods, 46(21), 10897-10902, 20161102
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  29. Estimating the Trend in US Real GDP Using the l_{1} Trend Filtering, Applied Economics Letters, 24(10), 713-716, 20160928
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  30. A small but practically useful modification to the Hodrick–Prescott filtering: A note, Communications in Statistics - Theory and Methods, 46(17), 8430-8434, 20160811
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  31. Measuring the US NAIRU as a step function, Empirical Economics, 51(4), 1679-1688, 20160104
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  32. Ridge Regression Representations of the Generalized Hodrick-Prescott Filter, Journal of the Japan Statistical Society, 45(2), 121-128, 201512
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  33. Selecting the Tuning Parameter of the l_{1} Trend Filter, Studies in Nonlinear Dynamics and Econometrics, 20(1), 97-105, 20150610
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  34. ★, SOME THEORETICAL AND SIMULATION RESULTS ON THE FREQUENCY DOMAIN CAUSALITY TEST, ECONOMETRIC REVIEWS, 33(8), 936-947, 20141117
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  35. Estimating the time-varying NAIRU and the Phillips curve slope simultaneously: a note, APPLIED ECONOMICS LETTERS, 21(15), 1057-1059, 20141013
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  36. ★, When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices, JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 42, 193-207, 20140430
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  37. ★, Japan's output gap estimation and l_{1} trend filtering, EMPIRICAL ECONOMICS, 45(1), 81-88, 20130801
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  38. A Note on Bandpass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators, Journal of Business Cycle Measurement and Analysis, 2011(2), 105-109, 20120105
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  39. A comparison of two alternative composite leading indicators for detecting Japanese business cycle turning points, Applied Economics Letters, 17, 875-879, 20100614
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  40. An Evaluation of the Japanese Leading Indicators, Journal of Business Cycle Measurement and Analysis, 3(2), 217-233, 20070501
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  41. Nonlinear Co-trending and the Fisher Relation in Japan: A Note, Applied Financial Economics Letters, 1(5), 285-287, 20050301
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  42. Wavelet-based beta estimation and Japanese industrial stock prices, APPLIED ECONOMICS LETTERS, 12(2), 85-88, 20050210
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  43. Do Stock Prices Contain Predictive Information on Business Turning Points? A Wavelet Analysis, Applied Financial Economics Letters, 1(1), 19-23, 20050101
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  44. Some Monte Carlo Evidence on the Hypothesis Tsting for the Mean of the Stationary Vector Autoregressive Process, MODSIM 2003 Proceedings, 1251-1256, 20030701
  45. Real Interest Rate Equalization: Some Empirical Evidence from the Three Major World Financial Markets, Applied Economics, 34(16), 2069-2073, 20021101
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  46. ★, On the linkage of real interest rates between the US and Canada: some additional empirical evidence, Journal of International Financial Markets, Institutons and Money, 12(3), 279-289, 20020701
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  47. M2 Demand Relation and Effective Exchange Rate in Japan: A Cointegration Analysis, Applied Economics Letters, 7(4), 229-232, 20000401
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  48. Empirical Evidence for the Export Promotion Strategies, Applied Economics Letters, 6(12), 775-778, 19991201
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  49. ★, Inference in Possibly Integrated Vector Autoregressive Models: Some Finite Sample Evidence, Journal of Econometrics, 86(1), 55-95, 19980901
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  50. A Note on the Causality between Export and Productivity: An Empirical Re-examination, Economics Letters, 61(1), 111-114, 19980101
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  51. A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression, Economics Letters, 56(1), 27-39, 19970901
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Publications such as books

  1. 2003/07, Co-trending: A Statistical System Analysis of Economic Trends, Springer-Verlag Tokyo, 2003, 07, Scholarly Book, Joint work, Michio Hatanaka Hiroshi Yamada, 115

Invited Lecture, Oral Presentation, Poster Presentation

  1. A Smoothing Method That Looks Like the Hodrick–Prescott Filter, Hiroshi Yamada, 2020 Nanyang Econometrics Conference, 2020/01/17, With Invitation, English, Division of Economics, School of Social Sciences, Nanyang Technological University, Singapore
  2. Ten Things We Should Know About Graph Laplacian Penalized Smoothing, Hiroshi Yamada, SWET2019, 2019/08/09, Without Invitation, Japanese
  3. Whittaker-Henderson Graduation and Graph Spectral Filtering, Hiroshi Yamada, HSI2019—5th Hitotsubashi Summer Institute, 2019/08/04, With Invitation, English, Hitotsubashi University, Hitotsubashi University
    Related URL
  4. Some properties of the quantile regression version of Hodrick-Prescott filtering, Hiroshi Yamada, The 3rd International Conference on Econometrics and Statistics (EcoSta 2019), 2019/06/27, Without Invitation, English, National Chung Hsing University, Taiwan
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  5. Whittaker-Henderson Graduation and Graph Spectral Filtering, Hiroshi Yamada, SH3 Conference on Econometrics, 2019/03/29, Without Invitation, English, Singapore Management University, Singapore Management University
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  6. Whittaker-Henderson Graduation, Discrete Cosine Transform and Graph Spectral Filtering, Hiroshi Yamada, BK21PLUS Korean Economic Group International Conference on Econometrics, 2018/10/26, With Invitation, English, Korea University, Seoul
    Related URL
  7. Whittaker–Henderson Graduation, Discrete Cosine Transform and Graph Spectral Filtering, Hiroshi Yamada, York - Hiroshima Joint Symposium 2018 Statistical Penalisation Methods and Dimension Reduction Methods for Economic and Financial Analysis, 2018/09/24, Without Invitation, English, York University and Hiroshima University, York University, UK
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  8. Bridge Filtering, Hiroshi Yamada, HU-HUE-SMU Tripartite Conference on Econometrics, 2018/03/29, Without Invitation, English, Singapore Management University, Singapore Management University, Singapore
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  9. Quantile Hodrick-Prescott Filtering, Hiroshi Yamada, Kansai Keiryo Keizaigaku Kenkyukai (KKKK), 2017/01/07, Without Invitation, English, Hiroshima University
  10. Quantile Hodrick-Prescott Filtering, Hiroshi Yamada, HU-CU Joint Research Workshop on Applied Economics, 2016/12/05, Without Invitation, English, Hiroshima University, Hiroshima University
  11. Qunatile Hodrick-Prescott Filtering, Hiroshi Yamada, 2016 Japan-Korea Allied Conference in Econometrics, 2016/11/19, Without Invitation, English, Hitotsubashi University
    Related URL
  12. Qunatile Hodrick-Prescott Filtering, Hiroshi Yamada, HOKKAIDO INTERNATIONAL SYMPOSIUM: Recent Developments of Statistical Theory in Statistical Science, 2016/10/26, Without Invitation, English, Hokkaido University
    Related URL
  13. Pure l1 Trend Filtering, Hiroshi Yamada, CIRET 2016, 2016/09/16, Without Invitation, English, Copenhagen
  14. Whittaker-Henderson Graduation Provides BLUP, Hiroshi Yamada, 2016 HU-HUE-SMU Tripartite Conference, 2016/03/24, Without Invitation, English, Singapore Management University, Singapore
  15. A Small But Practically Useful Modification to the l1 Trend Filtering, Hiroshi Yamada, 12th International Symposium on Econometric Theory and Applications, 2016/02/17, Without Invitation, English, Hamilton, New Zealand
    Related URL
  16. Ridge Regression for Extracting the Hodrick-Prescott Cycle Directly and Several Related Results, Hiroshi Yamada, Friday Seminar, 2015/09/04, Without Invitation, Japanese, Graduate School of Science, Hiroshima University
  17. Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, 2015 HEU-HU-SMU Tripartite Conference, 2015/03/27, Without Invitation, English, Singapore
  18. A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, 2014 Hitotsubashi-Sogang Conference on Econometrics, 2014/12/13, Without Invitation, English, Seoul, Republic of Korea
  19. A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter, Hiroshi Yamada, Gawon Yoon, Workshop in Economics between Faculty of Economics, Chulalongkorn University an Faculty of Economics, Hiroshima University, 2014/09/25, Without Invitation, English, Bangkok, Thailand
  20. Estimating the Time-Varying NAIRU and the Phillips Curve Slope Simultaneously, Hiroshi Yamada, SMU-NTU-HUE-HU International Conference on Economics and Econometrics, 2014/03/25, Without Invitation, English, Hiroshima, Japan

External Funds

Acceptance Results of Competitive Funds

  1. KAKENHI(Grant-in-Aid for Scientific Research (C)), 2023, 2025
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  2. KAKENHI, 2020, 2022
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  3. KAKENHI, 2016, 2020
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  4. KAKENHI, 2015, 2017
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  5. KAKENHI, 2010, 2014
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  6. KAKENHI, Business Cycle Analysis Using Band-Pass Filter, 2007, 2009
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  7. KAKENHI, Developing New Business Cycle Composite Indicators Using Wavelet Analysis, 2005, 2006
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  8. KAKENHI, 2002, 2003
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  9. KAKENHI, Analysis of stationary ans non-stationary economic time series with structural changes, 2002, 2004
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  10. 2014/01/28, 2015/03/31
  11. 2011

Social Activities

History as Peer Reviews of Academic Papers

  1. 2024, Economic Modelling, Others, Reviewer
  2. 2024, Journal of International Money and Finance, Others, Reviewer, 1
  3. 2024, Journal of Applied Econometrics, Others, Reviewer, 1
  4. 2023, Computational Economics, Others, Reviewer, 1
  5. 2023, Empirical Economics, Others, Reviewer, 1
  6. 2023, Journal of Applied Econometrics, Others, Reviewer, 1
  7. 2023, Applied Economics Letters, Others, Reviewer, 1
  8. 2021, Journal of International Money and Finance, Others, Reviewer, 1
  9. 2021, Journal of Econometrics, Others, Reviewer, 1
  10. 2020, Studies in Nonlinear Dynamics and Econometrics, Others, Referee, 1
  11. 2019, Communications in Statistics – Theory and Methods, Others, Referee, 1
  12. 2018, Econometric Reviews, Others, Referee, 1
  13. 2016, Journal of Applied Statistics, Others, Referee, 1
  14. 2016, Econometrics and Statistics, Others, Referee, 2
  15. 2016, Empirical Economics, Others, Referee, 1
  16. 2014, Applied Economics Letters, Others, Referee, 1